One field test is worth a thousand Internet opinions.
Close in, as in calling at night, I know one guy, a hide-hunter, who uses only a .22 Magnum rimfire. I know that a .22 Hornet or .218 Bee won't make a large exit wound.
Some of the contributors over at one of the varmint websites say that the 40-grain bullets at high velocity blow up inside a coyote and rarely make any exit wound. I don't know; haven't tried that. One of the "Blitz" bullets, driven to near its spin limit, seems quite possible for this.
Art